fdhestonvanillaengine (3) - Linux Manuals

fdhestonvanillaengine: Finite-Differences Heston vanilla option engine.

NAME

ql/experimental/finitedifferences/fdhestonvanillaengine.hpp - Finite-Differences Heston vanilla option engine.

SYNOPSIS

#include <ql/instruments/dividendvanillaoption.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>

Classes

class FdHestonVanillaEngine
Finite-Differences Heston Vanilla Option engine.

Detailed Description

Finite-Differences Heston vanilla option engine.

Author

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